Optimal transport for model calibration

Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory


An overview of continuous (semi-martingale) optimal transport for model calibration is given in this paper. Ivan Guo et al present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options and the joint VIX/SPX calibration problem as well as calibration to some path-dependent options

In recent years, optimal transport (OT) theory has attracted the attention of many researchers. The optimal

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